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None of my players have ever not succeeded at doing pretty much exactly what they set out to do, because I was a complete doormat of a DM. Luckily, my only two experiences as a player fit this Story Time nicely.

In an aborted Living Legends campaign, my character was putting up a proper fight against the session's boss, when he was suddenly defeated by the news of a real-life family emergency and subsequently killed off-screen.

In a D&D 4e Modern Halloween one-shot in which I played as myself, I managed to take out a single skeleton minion, and then immediately get knocked out by a large super-zombie. In a fun variant, a swing that would have destroyed a different zombie missed completely, only for a friend's attack to reduce the enemy to chunky salsa, fooling my character into believing he had done it.

I have a bad history with pickpocketing. Once I was a thief and tried to pickpocket a mage for a rare artifact. Succeeded. Then I analysed it. Succeeded that roll too. DM said that artifact is cursed, so I succeeded on resisting curse too. I decided that that thing is too dangerous to keep, so I reverse-pickpocketed it back. Failed to be unnoticed.

Funny how that tends to work. The mark doesn't notice when you lift a ten-pound item from his purse, but he sure as Shor notices that three-ounce ring you gifted him. "Guards, guards! This guy just gave me a present! I demand he be taken to the dungeon immediately!"

This one was a rather embarassing incident. See, we were going to help a princess escape from an arranged marriage. My character was obviously very reluctant (being LE), but since the entire party was in for it, he swallowed his pride and went along with the plan. So we crash the wedding, fight off a few dozen guards and get out of the city. Our melee guy, a Dragonborn Minotaur, decided to carry her. Being blind, it ended as well as it you'd expect: He faceplants and we have to hold off the guards.

At that point, our new player, A., tells the DM that she'd tell the princess to go on ahead and tosses her a map. The princess takes off so we don't need to protect her anymore, though it would be possible that she doesn't make the trip...

In any case, we finish off the guards. I ask the DM: "So, where did she sent the princess." The DM asks her where the map lead. "Oh, it leads to M.'s mansion." M. being me. You can hear the sharp intake of air from everyone else on the table.

Couldn't blame her, she was the only one who didn't know my character's (and his household's) alignment.

In the end, the princess escaped her abusive soon-to-be husband, managed to get out of the highly-alerted city unharmed, escapes from the guards and gets through the forest unscathed to the mansion...
Only to be scanned for alignment (her being CG, she was the complete opposite to the household) and lead to a room where she thought she'd be safe...

On a positive note, the hell hounds got live food, which is a rare occasion for them.

ALTERNATE ENDING
DM: "Say, what skill do you use for map-reading?"
PLAYER: "Why survival, or navigation, of course."
DM: "Which you obtained as a rugged adventurer, right?"
PLAYER: "Yeah. What's your point?"
DM: "Tell me: what skills would a girly-girl princess use to read a map?"
PLAYER: (Pause) "Did I screw up?"
DM: "What do YOU think?"

Evil does not mean stupid and does not mean you feed princesses to hellhounds just because a spell detected something. Lawful Evil means Pragmatic without compassion. The princess might not be a friend but she can be a useful pawn and you only sacrifice pawns when it brings you actual benefits, to do otherwise is to loose everything you've worked for so far. They could have arranged their own marrage, they could have ransomed her to her fiance, they could have taught her the dark arts and used her as an assassin or hell even just pretended to be nice in exchange for political favors all of which are much more Lawful Evil things to do than just use strangers as dog food.

That is true. Unless, of course, it's the Acheron (the plane between the LN Mechanus and the LE Baator) kind of LE, which is based upon pure obedience to the law regardless of consequences ("just following orders").

If that order is "eliminate unauthorized access", they follow that order without second-guessing it. If the DM didn't fiat it and instead handled it like Greenhornet said, this wouldn't have happened: She would have been caught far before she could have reached the mansion, questioned and probably been brought back to her soon-to-be husband (because my character couldn't have contacted the responsible guards fast enough to tell them to do otherwise).

I had a character stumble upon a gang of sleeping bandits in the basement of an abandoned building. I tried sneaking past them and was mostly successful, but the bandit leader had a slightly better passive perception and noticed someone was skulking about.

He thought it was one of the other bandits and asked what's up. I put on my best gravely voice and said my throat hurt *coff coff* Just going to get a quick drink of water to cure the dryness.

The bandit leader buys it and lies back down. I continue to sneak past the group but fail my last Stealth skill check and the bandit leader awakens again.

"Wait a minute, he doesn't drink water."

And with that the gang awakens and I got a bunch of gun barrels pointed at my head. XD

There was a game where I learned a couple other lessons, being run at my FLGS on afternoons. One of my players had a rogue who preferred to stay on the "fuzzy" side of the law but wouldn't outright break it. I had the captain of the guard want to use him as someone able to break into a noble's home to find evidence there was something going on.

In the same city, the other players were trying to get a meeting with that noble to help move the plot along. They arrive and the noble had been poisoned and left for dead, servants trying to redirect them to a room so the PCs could have it blamed on them.

The rogue shows up to open the door, and one of the players decides he doesn't like the rogue showing him up so when the captain of the guard arrives to find out what's going on . . . he pins it on the rogue in front of the guards. The rogue protests, but decides to go with it since there's nothing anyone can do - he gets shackled and the offending PC insists maybe you should put him in a locked crate or something.

By this time I have two players about to tear into each other, but the rogue is pretty good at being a rogue. He starts rolling an escape plan's skill checks.

First check, he manages to hide his tools up a sleeve. Second check, he uses them to pick the lock on his manacles. Third check, to quietly manage to get the crate open unnoticed after it is loaded into a wagon. Fourth check fails, as he sprints to the estate wall to climb it, so now he has people shooting crossbows at him.

Fifth, sixth, seventh checks as he climbs the wall without assistance with seriously lucky rolls, but takes some hits along the way. And then roll number eight to just get over the top of the wall . . . is a 2. Which is literally 2 points short, so he rolls to catch himself . . . a 1. The fall does just enough damage to kill the rogue.

The other player then proceeds to frame the rogue for everything to the captain of the guard, who really knows better, but now has a convenient scapegoat of a corpse while he tries to figure out how many other nobles are being a problem.

The rogue's player made a "revenge character". Not to straight-up kill the other player's character . . . the next time the other character tried to screw someone else over, stepped in and knocked him unconscious. This repeated itself twice more as the other player was really really bad at the whole "hero" thing.

...I guess this counts as a failure in a way. Though it was on purpose.

We were a travelling circus. As in, the entire party decided to be a circus without getting the DM to really want it. ...Well, not the entire party, but we kidnapped and forced our last two members to join our circus. It counts.

Anyway, due to our DM having plans for a normal save-the-kingdom adventure, the King sent for us...and asked us to look into some portals for him. ...No real reason he is asking a travelling circus, but he's the king, so we agreed.

Before we were given the quest, our Ringleader had decided to present the King with one of our prized exotic penguins. The King was delighted, and quite pleased with us.

After the quest was given, and as we were walking back to our circus wagon, the Ringleader decided that the penguin was just too valuable. We had one other, but without its mate... Anyway, the Ringleader decided we needed to take it back. So the sneakiest of our group snuck into the castle and stole the penguin. Then we went on our adventure.

...After testing the portal once (and capturing an acid spitting dinosaur for our circus), we decided it wasn't worth it. Soon after, we heard the kingdom was destroyed - the penguin theft had been blamed on another country, and the ensuing war had ravaged it.

My main character from a 2 ed. game had a rogue follower (and the DM has us play our followers). During a festival, the thieves' guild has their own underground festival where they test the members in the different thief skills, with each trial passed giving them a prize. pickpocket, climb walls, find and remove traps, read language... my follower was doing quite well.
Then came the rope use skill. .... I end up rolling a 98 out of 100 (For you youngsters out there, the best you can roll on your dice and allowed to be successful in 2-ed is 95). The RP came out that I ended tying up myself in the ropes, failing the trials then and there.

Then came the other thief in the party, the actual rogue character. He went through the trials much like I had and got right there to the rope use as well. .... He rolled a 97.